Bankacılık Sektörü Hisse Senedi Endeksi İle Enflasyon Arasındaki İlişki: Yedi Ülke Örneği(The Relationship Between Banking Sector Stock Index and Inflation: Evidence From Seven Countries)

Abstract

The objective of this study is to analyze the relationship between banking sector stock index and consumer price index in seven countries. While there exist numerous studies in the literature on the relationship between stock market index and consumer price index, only few publications examine the relationship between sector indicies and consumer price index. This study aims to fill this gap in the literature. The long-term relationship is analyzed using Johansen Cointegration Analysis and ARDL(Autoregressive Distributed Lag) model. The results show that there is a long-term relationship between banking sector stock index and consumer price index only in Argentina. Moreover, the use of Granger Causality Analysis indicates that there is no causality between banking sector stock index and consumer price index in the U.S., Austria and Hungary.

Keywords

• Banking sector
• stock return
• inflation
• cointegration analysis